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I am trying to copy millions of small csv files from my storage account to a physical machine using the azcopy command, and I noticed that the speed has been very slow.

The format of azcopy command is Azcopy Copy <Storage_account_source> --recursive --overwrite=True

And the Command is ran from the Physical Machine.

Is there a way where you can make azcopy download multiple blobs concurrently? instead of checking the blob one by one? I believe that's why the speed is dropping to such a low value of 1 mb/second as it's doing checks on these really small blobs one by one. Or if there is another way to increase the speed of this case of blob transfer?

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azcopy is highly optimized for throughput using parallel processing etc. I haven't come across any tools that provide you faster download speed overall. The main limiting factors in my experience are usually (obviously) network bandwidth but also CPU power. It uses a lot of compute resources. So can you maybe increase those two on your VM at least for the duration of the download?